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研究生:何乃辰
論文名稱:現金增資閉鎖期之探討
論文名稱(外文):The Expiration of SEOs' Lockup
指導教授:湛可南湛可南引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:102
語文別:英文
論文頁數:33
中文關鍵詞:閉鎖期資訊不對稱現金增資
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此研究中,我檢測了3,073個現金增資且具有閉鎖契約之樣本,在這些樣本中,閉鎖期大多為90天。我發現當閉鎖契約到期時,平均超額報酬在+1天與累積超額報酬於-1天到+1天時都顯著小於零,且超額報酬大多集中於科技公司。此外,當閉鎖契約到期時,只有閉鎖期大於90天之樣本,超額報酬顯著小於零。最後,我發現除了科技因子可作為資訊不對稱的衡量指標外,閉鎖因子也可作為額外的資訊不對稱衡量指標,與Karpoff、Lee與Masulis(2013)之研究相一致。

Abstract 2
List of Tables 3
1. Introduction 4
1.1 Motivation and Objective 4
1.2 Outline 6
2. Literature Review 7
2.1 Lockup Agreement 7
2.2 Information Asymmetry 10
3. Data and Empirical Method 12
3.1 Data Description 12
3.2 Controlling Variables 13
3.3 Research Methodology 15
3.3.1 Cumulative Abnormal Return 15
3.3.2 Multiple Regression Analysis 16
4. Empirical evidence 18
5. Conclusion 31
References 33

1. Arthurs, Jonathan D., Lowell W. Busenitz , Robert E. Hoskisson, and Richard A. Johnson, 2009. Signaling and initial public offerings: The use and impact of the lockup period. Journal of Business Venturing 24, 360-372.
2. Bah, Rahim, and Pascal Dumontier, 2001. R&;D intensity and corporate financial policy: Some international evidence. Journal of Business Finance and Accounting 28, 671-692.
3. Bradley, Daniel J., Bradford D. Jordan, Ivan C. Roten, and Ha-Chin Yi, 2001. Venture capital and IPO lockup expiration: An empirical analysis. Journal of Financial Research 24, 465-492.
4. Brau, James C., Val E. Lambson, and Grant McQueen, 2005. Lockups revisited. Journal of Financial and Quantitative Analysis 40, 519-530.
5. Brav, Alon, and Paul A. Gompers, 2003. The role of lockups in initial public offerings. Review of Financial Studies 16, 1-29.
6. Brown, Stephen J., and Jerold B. Warner, 1985. Using daily stock returns: The case of event studies. Journal of Financial Economics 14, 3-31.
7. Chen, Hsuan-Chi, and Jay R. Ritter, 2000. The seven percent solution. Journal of Finance 55, 1105-1131.
8. Courteau, Lucie, 1995. Under-diversification and retention commitments in IPOs. Journal of Financial and Quantitative Analysis 30, 487-517.
9. Fama, Eugene F., and Kenneth R. French, 1998. Value versus growth : The international evidence. Journal of Finance 53, 1975-1999.
10. Field, Laura C., and Gordon Hanka, 2001. The expiration of IPO share lockups. Journal of Finance 56, 471-500.
11. Karpoff, Jonathan M., Gemma Lee, and Ronald W. Masulis,2013. Contracting under asymmetric information: Evidence from lockup agreements in seasoned equity offerings. Journal of Financial Economics,110, 607-626.
12. Mackinlay, Craig A., 1997. Event studies in Economics and Finance. Journal of Economic Literature 35, 13-39.
13. Ofek, Eli, and Matthew Richardson, 2000. The IPO lock-up period: Implications for market efficiency and downward sloping demand curves. Working Paper, New York University.

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